Systems and methods for using secondary market for primary creation and redemption activity in securities

ABSTRACT

Systems and methods for transforming an electronic portfolio. A system includes an electronic crossing platform that receives data defining trade orders of the electronic portfolio during an initial time period; compares portions of the data to determine an imbalance of the trade orders remaining after the initial time period and receives, during a final time period, a final trade order from a fund agent device to offset the remaining imbalance. The platform receives, after the final time period, a benchmark value of the electronic portfolio from a fund device; compares the final trade order with the remaining imbalance to determine an adjustment value; converts the benchmark value to a final value by applying the adjustment value to the benchmark value; and transforms the electronic portfolio into the transformed portfolio by creating paired buy and sell orders among the trade orders received during the initial time period at the final value.

TECHNICAL FIELD

The present disclosure relates generally to systems and methods fortrading financial products and, in particular, creating and redeemingnon-creation unit aggregation of shares of securities, including(without limitation) actively managed exchange-traded funds, index basedand/or passively managed exchange traded funds.

BACKGROUND

Existing electronic trading systems very often have a problem ofefficiently processing electronic portfolios of financial products. Theinefficiencies may be caused, for example, by imbalances of buy to sellorders within the electronic portfolios. As a result of theseimbalances, large numbers of transactions are needed to fully processand fulfil all of the orders within the portfolios, therebyunnecessarily consuming the computer resources of the electronic tradingsystems. This problem is exasperated with large electronic portfoliosand/or electronic portfolios having large imbalances. Moreover, existingelectronic trading systems do not have the ability to quickly identifysuch imbalances, prevent the imbalances from increasing, and/or takesteps to reduce and/or cure the imbalances in a manner that reduces thedrain on computer resources of electronic trading systems (e.g., byreducing the number of orders that need to be processed) and/or thatincreases their operating efficiency. Accordingly, there is a need forsystems and methods to address these and other related problems.

SUMMARY

Aspects of the present disclosure relate to systems, methods andnon-transitory computer-readable storage media for transforming anelectronic portfolio of data. An electronic crossing platform receives,during an initial time period, data defining one or more trade orders ofthe electronic portfolio to be transformed. A processor of theelectronic crossing platform compares a portion of the data to anotherportion of the data to determine an imbalance of the one or more tradeorders remaining after the initial time period. The electronic crossingplatform receives, during a final time period, further data defining afinal trade order to offset the imbalance remaining after the initialtime period. The final trade order is received from a fund agentcomputing device in electronic communication with the electroniccrossing platform. The electronic crossing platform receives, after thefinal time period, a benchmark value of the electronic portfolio from afund computing device in electronic communication with the electroniccrossing platform. The processor of the electronic crossing platformcompares the further data defining the final trade order with theimbalance remaining after the initial time period to determine anadjustment value; converts the benchmark value to a final value byapplying the adjustment value to the benchmark value; and transforms theelectronic portfolio into the transformed portfolio by creating pairedbuy and sell orders from among the data defining the one or more tradeorders received during the initial time period at the final value.

BRIEF DESCRIPTION OF DRAWINGS

FIG. 1 is a functional block diagram of an example electronic tradingsystem for transforming an electronic portfolio of data, according to anaspect of the present disclosure.

FIGS. 2A, 2B and 2C are flowchart diagrams of an example method oftransforming an electronic portfolio of data, according to an aspect ofthe present disclosure.

FIG. 3A is a flowchart diagram of an example method of generating afinal trade order by a fund agent using a secondary market, according toan aspect of the present disclosure.

FIG. 3B is a flowchart diagram of an example method of adjusting abenchmark value of an electronic portfolio, according to an aspect ofthe present disclosure.

FIG. 4 is a flow diagram illustrating an example trading environment ofthe electronic trading system shown in FIG. 1 during a first time periodfrom a market open time through a first cutoff time, according to anaspect of the present disclosure.

FIG. 5 is a flow diagram illustrating an example trading environment ofthe electronic trading system shown in FIG. 1 during a second timeperiod from the first cutoff time through a second cutoff time,according to an aspect of the present disclosure.

FIG. 6 is a flow diagram of illustrating an example trading environmentof the electronic trading system shown in FIG. 1 during a third timeperiod from after the second cutoff time until before a market closetime, according to an aspect of the present disclosure.

FIG. 7 is a flow diagram illustrating an example trading environment ofthe electronic trading system shown in FIG. 1 after the market closetime, according to an aspect of the present disclosure.

FIG. 8 is a functional block diagram of an example computer system,according to an aspect of the present disclosure.

DETAILED DESCRIPTION

An exchange traded fund (ETF) is an investment fund traded like a commonstock on a stock exchange. An ETF holds assets such as stocks,commodities, or bonds, and may trade close to its net asset value (NAV)over the course of a trading day. ETFs may, for example, track an index,a commodity, bonds or a basket of assets. The supply of ETF shares maybe regulated through a creation and redemption mechanism.

ETFs that trade in the United States may provide daily creation andredemption portfolios that essentially provide full transparency intothe ETF's holdings, which allows for a relatively straightforwarddetermination of the underlying fair value of the ETFs throughout thetrading day. Typically, buy and sell orders in the secondary market maybe matched at agreed prices throughout the trading day. Daily creationand redemption activity occurs only at a NAV price determined after theorder is placed directly with the fund by authorized participants. Thecombination of intraday transparency and an open-ended ETF creation andredemption process creates an arbitrage mechanism which ensures thatsmall investors who are not able to transact directly with the fund increation unit aggregations can be confident of being able to transact ata price close to the ETF's underlying fair value at the time of purchaseor sale.

Trading actively managed ETFs (AMETFs), however, may not provide fulltransparency into the fund holdings on a daily basis. While variousstrategies may be implemented that attempt to ensure pricing close tothe AMETF's underlying fair value in the secondary market, smallinvestors may be less certain that they will be able to reliably receivea price that is reasonably close to the underlying fair value, and mayfind it preferable to transact at a price with a defined relationship tothe NAV. Further, the potential desire of investors to explicitly beguaranteed the ability to trade at a price with a defined relationshipto the NAV may not be restricted to AMETFs, and may apply as well toindex-based, or passively managed, ETFs, fully disclosed activelymanaged ETFs, other types of exchange-traded products (ETPs) and anysecurity for which the underlying value may be tied to an externallycalculated benchmark value such as a NAV.

One solution to allow for trading at prices related to the NAV includesan approach based on trade at settlement (TAS) trading in futurescontracts. In an example approach, trades occur throughout the day in abasis to be applied against the futures settlement price at the end ofthe day, but reference the ETF's NAV rather than the futures settlementprice.

Another approach may involve offering trading at a price related to theNAV for listed mutual funds and ETFs.

In any event, attempts to ensure fair pricing often leads to imbalancesin the portfolios themselves, thereby causing inefficiencies in theprocessing and fulfillment of the same. As a result, there presentdisclosure provides systems and methods for transforming the electronicportfolios into balanced portfolios (so as to reduce computinginefficiencies caused by imbalanced portfolios), while providing fairpricing.

Example systems and methods for transforming an electronic portfolio ofdata includes an electronic crossing platform that receives datadefining trade orders of the electronic portfolio, during a first timeperiod (e.g., during the trading day), from market participants anddetermines an imbalance of the trade orders remaining after the firsttime period. The crossing platform also receives, during a final timeperiod (e.g., during the trading day before a market close), datadefining a final trade order from a fund agent computing device tooffset the imbalance remaining after the initial time period. Thecrossing platform receives, after the final time period (e.g., after themarket close), a benchmark value (e.g., a NAV) of the electronicportfolio, and adjusts the benchmark value to form a final value, basedon a comparison of the data defining the final trade order and theimbalance remaining after the initial time period. The electronicplatform may transform the electronic portfolio, after the third period(e.g., after the market close), by creating paired buy and sell ordersfrom among the data defining the trade orders received during theinitial time period at the final value. The trade orders may includeAMETFs, index-based ETFs, passively managed ETFs and/or any suitablesecurity tied to the benchmark value.

The initial time period may include a first time period (e.g., from amarket open time to a first cutoff time) and a second time period (e.g.,from the first cutoff time to a second cutoff time before the final timeperiod). In the initial time period, the electronic crossing platformmay enter all trade orders associated with the electronic portfolio. Inthe second time period, the electronic crossing platform may only acceptoffsetting trade orders from market participants that offset theimbalance remaining after the first time period. Entered trade ordersfrom both the first and second time periods may be paired at the finalvalue (after the final time period). The crossing platform may determinea final trade imbalance of the offsetting trades remaining after thesecond time period. The final trade order that is received may offsetthe final imbalance remaining after the second time period.

The final trade order may be generated by the fund agent computingdevice responsive to trading with a secondary market during the finaltime period, by creation activity or redemption activity to completelyoffset the trade imbalance remaining after the initial time period (orafter the second time period). The creation activity/redemption activitymay include creation unit size activity or non-creation unit sizeactivity.

In some examples, the electronic crossing platform may periodicallyindicate the imbalance remaining among the received trade orders and/oroffsetting trade orders to the market participants and fund agentcomputing device(s). The indicated imbalance may be used, for example,to encourage market participants to submit offsetting trade orders,during the second time period.

Example systems and methods of the present disclosure allow investors tobe guaranteed to receive a single price close to the NAV each day whennot transacting directly with the fund in creation unit sizeaggregations, while fostering efficient pricing. Example electronictrading systems and methods: (i) may provide incentives for marketparticipants to provide liquidity to offset possible imbalances; (ii)may concentrate liquidity in a single crossing session once the NAV isdetermined; and (iii) may provide a mechanism for the fund topotentially offset imbalances through non-creation unit size issuanceand redemption of fund shares.

Aspects of the present disclosure relate to systems and methods forbuying and selling non-creation unit size aggregations of shares ofsecurities, including (without limit) shares of an AMETF and/or an ETFat or near the NAV with guaranteed execution. The present disclosurealso relates to creation and redemption of AMETFs and ETFs (and/or othersecurities) in other than non-creation unit size aggregations. Notably,the systems and methods described herein are effective for use inconnection with all types of financial products (e.g., actively managedETFs and index based or passively managed ETFs). However, and solely forexemplary and illustrative purposes, aspects of the present disclosureshall be described in the context of AMETFs and ETFs.

In an example embodiment, the present disclosure allows investors toefficiently buy and sell non-creation unit size aggregations of sharesof an AMETF or index based ETF at or near the NAV with guaranteedexecution. The present disclosure can maximize liquidity for efficienttransaction at or near the NAV, including non-creation unit sizecreation and redemption with a designated third party agent andutilizing a price adjustment convention in determining the transactionprice designed to foster liquidity.

FIG. 1 is a functional block diagram illustrating an example electronictrading system 100 (also referred to herein as system 100), according toaspects of the present disclosure. System 100 may include electronicNAV-on-Close (NOC) crossing platform 102, plurality of marketparticipants 106 (collectively referred to herein as exchange members104), fund agent 108, fund 110 and secondary market 112. NOC crossingplatform 102, exchange members 104, fund agent 108, fund 110 and secondmarket 112 may be communicatively coupled via network 114. In oneexample, each of exchange members 104, fund agent 108, fund 110 andsecondary market 112 may be represented by a computing device (such ascomputer system 800 shown in FIG. 8), including a non-transitory memorystoring computer-readable instructions executable by a processing deviceto perform the functions described herein. Each of exchange members 104and fund agent 108 may be programmed to access NOC crossing platform 102via network 114. Network 114 may include, for example, a private network(e.g., a local area network (LAN), a wide area network (WAN), intranet,etc.) and/or a public network (e.g., the Internet).

It should be understood that electronic NOC crossing platform 102 refersto a computing system having sufficient processing and memorycapabilities to perform the following functions, and it does notnecessarily refer to a specific physical location. In certainembodiments, the computing system may be distributed over severalphysical locations, connected by one or more wired and/or wirelesslinks. An example computing system that may represent NOC crossingplatform 102 is described below with respect to FIG. 8.

Although FIG. 1 illustrates one fund agent 108, one fund 110 and onesecondary market 112, it is understood that FIG. 1 represents an exampleembodiment of system 100, and that other arrangements of these elementsare within the scope of the present disclosure. Thus, system 100 mayinclude one or more fund agents 108, one or more funds 110 and one ormore secondary markets 112.

NOC crossing platform 110 may be comprised of one or more modulesconfigured to: process trade orders (buy and sell) of an electronicportfolio received from among exchange members 104 and at least onefinal trade order received from fund agent 108 during differentdesignated time periods for trade order entry; determine and communicatetrade order imbalances to the market (i.e., exchange members 104 andfund agent 108) during the trading day; determine an NOC price; andexecute the received trade orders from among exchange members 104according to the NOC price after the market is closed. For example, NOCcrossing platform 102 may include order management module 116, orderimbalance determination module 118, NOC price determination module 120and NOC order execution module 122.

In one embodiment, order management module 116 may be configured tomanage aspects of entering and/or rejecting received tradeorder(s)/final trade order(s) from among exchange member 104 and fundagent 108, depending upon the designated time periods for trade orderentry (described further below). Order management module 116 may alsodirect order imbalance determination module 118 to determine an orderimbalance at various times during the trading day, and may also controlcommunication of the imbalance to the market.

In one embodiment, order imbalance determination module 118 may beconfigured to determine a trade order imbalance remaining, at variousinstances during the trading day, based on the entered trade orders. Inone of the designated time period for trade order entry, the determinedtrade order imbalance may be used by order management module 116 toreject received trade orders from exchange members 104 that do notoffset the remaining imbalance.

In one embodiment, NOC price determination module 120 may be configuredto determine the NOC price after the market is closed, by adjusting theNAV price associated with the electronic portfolio (determined by fund110) according to an adjustment value. The adjustment value may bedetermined based on the final trade order(s) received from fund agent108 and a final remaining order imbalance determined by order imbalancedetermination module 118.

In one embodiment, NOC order execution module 122 may be configured topair buy and sell orders among the entered trade orders from exchangemembers 104, based on the NOC price determined by NOC pricedetermination module 120, to execute the entered trade orders after themarket is closed. In some examples, NOC order execution module 122 maybe configured to execute the entered trade orders in a single crossingafter the market is closed, according to a single NOC price.

In operation, exchange members 104 may use NOC crossing platform 102, toplace, cancel and/or modify NOC orders throughout the trading day, up toa first pre-determined cut-off time (i.e., a first time period). NOCcrossing platform 102 may disseminate messages (i.e., communications) tothe market, publishing the order imbalance at one or more pointsthroughout the day. The order imbalance may be a buy imbalance (i.e.,more buy orders than sell orders) or a sell imbalance (i.e., more sellorders than buy orders).

After the first cut-off time, during a second time period, NOC crossingplatform 102 may only accept cancellation and/or modification ordersfrom exchange members 104 which reduce the imbalance, without flippingthe imbalance from buy to sell (or sell to buy). At a second cut-offtime, in a third time period, NOC crossing platform 102 may no longeraccept orders, cancellations and/or modifications from exchange members104. In the third time period, NOC crossing platform 102 may determine afinal imbalance and communicate the final imbalance to the market. Fundagent 108 (e.g., a designated market maker (DMM)) may then provide atleast one final trade order to offset the final NOC order imbalance, ata price related to the NAV (once the NAV is determined by fund 110).

After the third time period (after the market is closed), NOC crossingplatform 102 may determine the NOC price at which trade orders receivedfrom exchange participants 104 (during the first and second timeperiods) may be executed. The price at which the NOC trades occur may bedetermined objectively as a function of the order imbalance. Ifdesignated fund agent 108 is selling shares to offset the finalimbalance, the NOC trade price may be the NAV adjusted upwards based ondisclosed rules (e.g., rounded up to the next cent). Conversely, ifdesignated fund agent 108 is buying shares to offset the finalimbalance, the NOC trade price may be the NAV adjusted downwards basedon disclosed rules (e.g., rounded down to the next cent). The NOC pricealso may be adjusted to reflect certain costs associated with thecreation and redemption of new shares by designated fund agent 108through direct interaction with fund 110. Designated fund agent 108 maybe permitted to transact with fund 110 at the NAV in non-creation unitsize aggregations to the extent needed to fill the NOC order imbalance.Because of the pricing convention for the NOC orders, fund agent 108, aswell as other investors, may be incented to offset the order imbalancebecause they may be buying slightly below or selling slightly above theactual NAV. All interactions with fund 110 may continue to take place atthe NAV.

Those skilled in the art will appreciate that electronic NOC crossingplatform 102 may be configured with more or less modules to conduct themethods described herein with reference to FIGS. 2A-2C, 3B and 4-7. Asillustrated in FIGS. 2A-2C, 3B and 4-7, each of the correspondingmethods may be performed by processing logic (such as processing logic804 in FIG. 8) that may comprise hardware (e.g., circuitry, dedicatedlogic, programmable logic, microcode, etc.), software (such asinstructions run on a processing device), or a combination thereof. Inone embodiment, the methods shown in 2A-2C, 3B and 4-7 may be performedby one or more processing components associated with modules 116-122 ofNOC crossing platform 102.

Although electronic crossing platform 102 is described in examplesherein as a NAV-On-Close crossing platform, in general, electroniccrossing platform 102 may use any suitable benchmark value, and mayexecute trade orders on market close for any suitable security tied tothe benchmark value. Thus, electronic crossing platform 102 may be moregenerally considered to be a benchmark-on-close crossing platform. Thetrade orders may be associated with actively managed ETFs, index basedor passively managed ETFs at or near a benchmark value and/or anysecurity for which the underlying value may be tied to the benchmarkvalue.

FIGS. 2A-2C illustrate flowchart diagrams of an example method oftransforming an electronic portfolio of data, according to an aspect ofthe present disclosure. FIGS. 2A-2C are described with reference to FIG.1.

Referring to FIG. 2A, at step 200, a first time period is initiated, forexample, by order management module 116 of NOC crossing platform 102. Aninitial time of the first time period may represent a market open time(i.e., a start of the trading day). At step 202, one or more tradeorders are received, for example, by order management module 116, fromamong exchange members 104. At step 204, order management module 116 mayenter the received trade order(s) into NOC crossing platform 102 relatedto a particular electronic portfolio. In some examples, order managementmodule 116 may enter any buy or sell NOC order, cancellation order ormodification order during the first time period.

At step 206, order imbalance determination module 118 of NOC crossingplatform 102 may, optionally, determine a trade order imbalance duringthe first time period, by comparing portions of data among the enteredtrade orders. At step 208, the imbalance may, optionally, be indicatedto the market (i.e., exchange members 104 and fund agent 108), forexample, by order management module 116. For example, the orderimbalance may be published on an electronic ticker tape or may betransmitted as a message to the market.

At step 210, order management module 116 determines whether the end ofthe first time period is reached, based on a predetermined first cut-offtime. When the end of the first time period is not reached, step 210proceeds to step 202, and steps 202-210 are repeated.

When the end of the first time period is reached, order imbalancedetermination module 118 determines, at step 212, a trade orderimbalance remaining after the first time period. At step 214, theremaining imbalance after the first time period may be indicated to themarket, for example, by order management module 116. Step 214 proceedsto step 216 (FIG. 2B).

Referring to FIG. 2B, at step 216, order management module 116 mayinitiate a second time period. An initial (start) time of the secondtime period may commence at or after the predetermined first cutoff time(step 210). At step 218, order management module 116 receives one ormore trade orders from among exchange members 104. At step 220, ordermanagement module 116 enters offsetting trade orders (i.e., buy or sellNOC orders, cancellation orders or modification orders) that offset theimbalance remaining (step 212 initially or step 222 subsequently), whilerejecting other received trade orders from exchange members 104.

At step 222, order imbalance determination module 118 determines a tradeorder imbalance during the second time period, by comparing data amongthe entered trade orders (in the first time period) and the enteredoffsetting trade orders. At step 224, order management module 116 mayindicate the imbalance to the market (i.e., exchange members 104 andfund agent 108).

At step 226, order management module 116 determines whether the end ofthe second time period is reached, based on a predetermined secondcut-off time. When the end of the second time period is not reached,step 226 proceeds to step 218, and steps 218-226 are repeated.

When the end of the second time period is reached, order imbalancedetermination module 118 determines, at step 228, a final trade orderimbalance remaining after the second time period. At step 230, ordermanagement module 116 may indicate the final trade order imbalance tothe market (including to fund agent 108).

Steps 208, 214 and 224 may be used to keep exchange members informed ofany trade order imbalance and may be used to incentivize exchangemembers 104 to submit offsetting trade orders (in the second timeperiod), to reduce a remaining order imbalance.

At step 232, order management module 116 may initiate a third timeperiod. An initial (start) time of the third time period may commence ator after the predetermined second cutoff time (step 226). At step 234,order management module 116 rejects any trade orders from exchangemembers 104. At step 236, order management module 116 receives andenters at least one final trade order from fund agent 108, responsive tothe indicated final imbalance (step 230). The final trade order(s) isgenerated by fund agent 108 trading in secondary market 112, such thatthe final trade order(s) offsets the indicted final trade orderimbalance (step 230).

At step 238, order management module 116 determines whether the end ofthe third time period is reached, based on a predetermined third cut-offtime (i.e., the market close time). When the end of the third timeperiod is not reached, step 238 proceeds to step 234, and steps 234-238are repeated.

When the end of the third time period is reached (i.e., at the marketclose), step 238 proceeds to step 240 (FIG. 2C).

Referring to FIG. 2C, at step 240, a benchmark value (e.g., a NAV) ofthe electronic portfolio is determined, by fund 110, after the thirdperiod (i.e., after the market close). At step 242, fund 110 processesany received creation and redemption orders from authorized participants(such as fund agent 108) at the determined benchmark value (e.g., at theNAV).

At step 244, NOC price determination module 120 of NOC crossing platform102 compares the final trade order(s) received from fund agent 108 (step236) with the final imbalance (step 228) to determine an adjustmentvalue. At step 246. NOC price determination module 120 converts thebenchmark value (step 240) to a final value (i.e., the NOC price) byapplying the adjustment value (step 244) to the benchmark value. Steps244 and 246 are described further below with respect to FIG. 3B.

At step 248, NOC order execution module 122 of NOC crossing platform 102pairs buy and sell orders among the trade orders entered during thefirst time period and the offsetting trade orders entered during thesecond time period at the final value (the NOC price), to execute theentered NOC orders received from exchange members 104. NOC crossingplatform may also indicate the trades to the market and enter the tradesinto a clearing facility.

FIG. 3A is a flowchart diagram of an example method of generating atleast one final trade order by fund agent 108 using secondary market112, according to an aspect of the present disclosure. The method stepsshown in FIG. 3A may occur during the third time period (i.e., after thesecond time period and before the market close).

At step 300, fund agent 108 receives an indication of the finalimbalance remaining (after the second time period), from NOC crossingplatform 102 (step 230 in FIG. 2B). At step 302, fund agent 108determines whether to trade directly with secondary market 112 (e.g.,the New York Stock Exchange, NASDAQ, etc.).

When it is determined to trade directly, fund agent 108, at step 304,trades in secondary market 112 to create or redeem shares of the ETF (orsecurity) to offset the final trade order imbalance, to form at leastone final trade order. At step 306, fund agent 108 transmits the finaltrade order(s) to NOC crossing platform 102. The final trade order(s)transmitted by fund agent 108 corresponds to the received final tradeorder(s) in step 236 (FIG. 2B).

When it is determined to trade indirectly, fund agent 108, at step 308,transmits at least one create or redeem order to fund 110 to offset thefinal trade order imbalance. Responsive to the create or redeemorder(s), fund 110, at step 310, trades in secondary market 112 tohandle creations or redemptions. At step 312, fund agent 108 forms thefinal trade order(s) based on the create or redeem order and/orresponsive to an indication from fund 110 regarding the secondary markettrading (step 310). Step 312 proceeds to step 306.

FIG. 3B is a flowchart diagram of an example method of adjusting abenchmark value (e.g., NAV) of an electronic portfolio including tradeorders (steps 244 and 246 in FIG. 2C), according to an aspect of thepresent disclosure. The method steps shown in FIG. 3B may be performedby NOC price determination module 120 of NOC crossing platform 102 (FIG.1).

At step 320, the received final trade order(s) (step 236) and the finaltrade order imbalance (step 228) are retrieved, for example, from anon-transitory memory (e.g., memory 806 or data storage device 810 shownin FIG. 8). At step 322, it is determined whether there is a buy or sellimbalance, by comparing the final trade order(s) with the remainingfinal imbalance.

When, at step 322, it is determined that there is a buy imbalance, step322 proceeds to step 324, and the adjustment value is selected toincrease the benchmark value in favor of the seller. When, at step 322,it is determined that there is a sell imbalance, step 322 proceeds tostep 326, and the adjustment value is selected to decrease the benchmarkvalue in favor of the buyer.

Steps 324 and 326 proceed to step 328. At step 328, the selectedadjustment value is applied to the benchmark value to form the finalvalue.

The systems and methods provided by the present disclosure may be usedto achieve one or more of the following, without limitation: facilitatetrades occurring at or near NAV through exchange crossing platform 102;provide simplicity, transparency and ease of understanding to exchangemembers 104/fund agent 108; leave no unfilled interest (e.g., processorders such that there is a buyer for every seller and a seller forevery buyer); fit within existing technology and/or functionality;efficiently handle small size orders as well as large size orders;efficiently facilitate non-creation unit size primary creation andredemption activity with fund 110; apply to actively managed ETFs, indexbased ETFs, and other securities; and reduce the number of transactions(to be processed) at the fund.

The systems and methods of the present disclosure may also serve as auseful complement to secondary market trading at negotiated prices inAMETFs where a small investor may be uncertain of the desirability ofthe intraday prices. NOC crossing platform 102 may also make ETFs moreattractive to certain customers, brokers, distribution platforms, etc.

The systems and methods of the present disclosure may be used by thefollowing, without limitation: small investors concerned about intradaypremiums or discounts, where immediacy of price is less of a concernthan “fairness”; large investors with strategies that are benchmarked tofund the NAV, where NOC crossing platform 102 provides a way toguarantee order fill at a price within a reasonable spread to the NAV;distribution channels that prefer an option for NAV-based order filling;IRA and 401k plan providers, who may not currently be a large player inthe ETF space, but by which NOC crossing platform 102 might make ETFsmore feasible; and any other suitable participant.

The following is a discussion of some possible economic costs and risksof providing liquidity in NOC trading according to an embodiment of thepresent disclosure. In-kind creation and redemption fees (e.g., feescharged by the ETF for the physical exchange of ETF shares for a definedportfolio of securities) may depend on the number of securities in thecreation unit portfolio and the number of ETFs per creation unit, andmay be de minimis if there are a small number of securities in theportfolio. Creation and redemption fees associated with cash purchasesand redemptions of ETF shares with the fund may be assessed to cover thecost to the fund of investing such cash or selling fund holdings toraise cash. Transaction costs for market purchases of ETFs and/or sharesin creation and redemption portfolio deposits may include exchange feesand brokerage commissions, the bid-offer spread and potential marketimpact costs, among other costs. International and alternative assetsmay be more expensive. For in-kind transactions, risks also may includeloss due to differences between the purchase (sale) prices of creation(redemption) deposit securities and the prices used in determining NAV.To the extent DMM fund agent 108 is able to transact at favorable pricesin the deposit securities relative to those used in NAV determination,this risk may become a profit opportunity for some traders in somecircumstances.

The following is a discussion of some possible economic benefits ofproviding liquidity in NOC trading according to an embodiment of thepresent disclosure. The ability for DMM fund agent 108 to transact withfund 110 in non-creation unit size aggregations may reduce or eliminateovernight risk associated with carrying positions in an ETF whoseholdings are undisclosed. The cost may depend on whether suchcreation/redemption activity is in cash or in-kind. Investors may buy atprices that are slightly below the NAV and sell at prices that areslightly above the NAV because of the price adjustment process performedby crossing platform 102 described herein. This price differential maycompensate DMM fund agent 108 sufficiently to cover a substantialportion of the costs described above. In addition, there may be otherpossible revenue sources available to DMM fund agent 108 to offset costsand incent liquidity provision, such as a share of transaction revenueearned by the exchange, or with appropriate legal and regulatoryapproval, fund or advisor compensation.

In an embodiment, the systems and methods of the present disclosure mayminimize costs and/or maximize benefits to DMM fund agent 108. The riskof loss on close out trading positions may be minimized by fund 110facilitating trades at prices to match the NAV and ensuring completelytransparent pricing conventions for determining the value of shares andbalancing cash component. The systems and methods described herein maymaintain existing fund relationships with authorized participants (AP)as a creation and redemption mechanism. In other words, the systems andmethods described herein may obviate the need to directly interact withretail or non-AP broker-dealers and the need for selling agreements.

Referring next to FIGS. 4-7, an example trading environment ofelectronic trading system 100 (FIG. 1) is described from a market opentime until after a market close time. In particular, FIG. 4 is a flowdiagram illustrating example trading environment 400 during a first timeperiod from a market open time through a first cutoff time; FIG. 5 is aflow diagram illustrating example trading environment 500 during asecond time period from the first cutoff time through a second cutofftime; FIG. 6 is a flow diagram of illustrating example tradingenvironment 600 during a third time period from after the second cutofftime until before a market close time; and FIG. 7 is a flow diagramillustrating example trading environment 700 after the market closetime.

Turning now to FIG. 4, example trading environment 400 from a marketopen time through a first cutoff time (i.e., the first time perioddescribed in steps 200-210 of FIG. 2A) is shown. Trading environment 400includes one or more components of NOC crossing platform 102 toimplement the following functions.

During the first time period when the market is open to the first cutofftime, NOC trade orders 402 (e.g., buy orders, sell orders,cancellations, and modifications) may be received and entered into NOCcrossing platform 102. One or more order imbalances 404 (e.g., buyimbalance, sell imbalance) may be determined by NOC crossing platform102 and communicated 406 to the market (e.g., published to tape)throughout the first time period and/or throughout the day.

Turning now to FIG. 5, example trading environment 500 from the firstcutoff time through the second cutoff time (i.e., the second time perioddescribed in steps 216-226 of FIG. 2B) is shown. Trading environment 500includes one or more components of NOC crossing platform 102 toimplement the following functions.

Also, during the second time period from the first cutoff time throughthe second cutoff time, one or more order imbalances 504 (e.g., buyimbalance, sell imbalance) may be determined by NOC crossing platform102 and communicated 506 to the market (e.g., published to tape)throughout the second time period and/or throughout the day.

During the time from the first cutoff time through a second cutoff time,only NOC orders 502 (e.g., buy and sell orders, cancellations,modifications) that offset the order imbalance 504 may be allowed to beentered into NOC crossing platform 102. Orders (not shown) that do notoffset order imbalance 504 may be rejected and not entered into NOCcrossing platform 102. For example, if order imbalance 504 is a buyimbalance, only sell orders or cancellations or modifications thatoffset the disproportionate number of buy orders may be accepted andentered. If order imbalance 504 is a sell imbalance, for example, onlybuy orders or cancellations or modifications that offset thedisproportionate number of sell orders may be accepted and entered.

Turning now to FIG. 6, example trading environment 600 from the secondcutoff time until before the market close time (i.e., the third timeperiod described in steps 232-238 of FIG. 2B) is shown. Tradingenvironment 600 includes one or more components of NOC crossing platform102 to implement one or more of following functions.

During the third time period from after the second cutoff time to beforethe market close, NOC orders 602 (e.g., buy and sell orders,cancellations, modifications) may be rejected and not entered into NOCcrossing platform 102. Final order imbalance 604 may be determined byNOC crossing platform 102 and communicated 606 to the market (e.g.,published to tape).

Fund agent 108 (e.g., a designated market maker (DMM)) may receive anindication of final imbalance 604. Fund agent 108 may then trade 608 insecondary market 112 as needed to create and/or redeem shares to offsetfinal imbalance 604, and form final trade order(s) 614. Fund agent 108may also place creation and/or redemption orders 610 with fund 110, andfund 110 may trade 612 in secondary market 112 to handle the creationand/or redemption orders 610, and form final trade order(s) 614. NOCcrossing platform 102 may enter final trade order(s) 614 received fromfund agent 108 to offset the entire final imbalance 604.

Turning now to FIG. 7, example trading environment 700 after the marketclose is shown (i.e., corresponding to the time period described insteps 240-248 of FIG. 2C). Trading environment 700 includes one or morecomponents of NOC crossing platform 102 to implement one or more of thefollowing functions.

During the time after the market close, fund 110 may determine the NAV(at 702). Any creation and redemption orders entered into fund 110 maybe processed by fund 110 at the NAV (at 704).

At 706, the final order imbalance (i.e., buy or sell imbalance) may bedetermined for the NOC trade orders to be executed. The buy or sellimbalance may be determined by comparing the final trade order(s) 614(FIG. 6) with the final imbalance 604. The NOC trade orders to beexecuted may include NOC orders 402 (FIG. 4) entered into NOC crossingplatform 102 before the first cutoff time (including modifications tothose orders) and the (offsetting) NOC orders 502 (FIG. 5) entered intoNOC crossing platform 102 between the first cutoff time and the secondcutoff time (including non-rejected modifications to those orders).

If a final imbalance is a buy imbalance, the NOC transaction price maybe determined, at 708, as the NAV adjusted up in favor of the seller. Ifthe final imbalance is a sell imbalance, the NOC transaction price maybe determined, at 710, as the NAV adjusted down in favor of the buyer.NOC crossing platform 102 may then execute, at 712, all NOC orders to beexecuted (i.e., orders 402 and orders 502) at the NOC transaction price(i.e., the adjusted NAV). The executed NOC trades 406 may then beentered, at 714, into a clearing facility, and may be published, at 716,to the market (e.g., reported to tape).

In an exemplary embodiment of the present disclosure, NOC orders 402(FIG. 4) may be entered, modified and/or cancelled until a set time(i.e., the end of the first time period), for example 3:00 PM forpurposes of this discussion. The order imbalance may be published to themarket throughout the trading day. From the set time until a later settime (i.e., during the second time period), for example, from 3:00 PMuntil 3:30 PM, only NOC orders 502 (FIG. 5), cancellations and/ormodifications that reduce the order imbalance may be accepted. Allmarket participants may enter orders to offset the imbalance. At thelater set time (i.e., 3:30 PM) (i.e., during the third time period), nomore orders may be accepted, resting orders may not be modified orcancelled, and the final order imbalance 604 (FIG. 6) may be determined.Early cut-off times may allow a fund manager of fund 110 to affecttrades to accommodate creation and redemption activity in fund 110, andmay allow DMM fund agent 108 to place orders 610 for creation andredemption activity in fund 110. In some examples, in determining theNOC imbalance throughout the day (e.g., imbalance(s) 404, imbalance(s)504), as well as final imbalance 604, resting orders on the limit orderbook to buy or sell the ETF at specified prices may not be included. Forexample, it may be difficult to determine whether such orders will beexecutable until after the NOC price is determined, and therefore willimpact the final imbalance. In some examples, such interest may beincluded in the NOC execution, but this may entail additional risk forDMM fund agent 108.

After the later set time (i.e. 3:30 PM, during the third time period),DMM fund agent 108, who has agreed to be responsible forfilling/offsetting NOC final order imbalance 604, may do so byinteracting with fund 110. In a buy imbalance, DMM fund agent 108 maysell shares out of existing inventory or sell newly created shares. In asell imbalance, DMM fund agent 108 may buy shares that add to theexisting inventory or offset a short position, or buy and redeem sharesto fund 110.

Creation and redemption unit size interactions with fund 110 may behandled through standard creation and redemption processes.Alternatively, creation orders may be handled for cash without anegative tax impact, but fund 110 may bear higher transaction costs. Fornon-creation and redemption unit sized interactions with fund 110,existing facilities of the securities depository and the clearingfacility may be used to create or redeem positions and move suchpositions to and from an account of DMM fund agent 108 and fund 110.Using these services may result in a de minimis cost. For example, inone embodiment, only one DMM fund agent 108 may use these services eachday, for cash or a very limited number of securities. Services such asdeposit and withdrawal at custodian, participant terminal system, orsettlement web, among others, may be incorporated into NOC crossingplatform 110. If the creation is in-kind, a simple calculation todetermine appropriate deposit quantities may be used.

Fund 110 may then determine the NAV by a certain time (i.e., after thethird time period), for example by 6:00 PM. Once the NAV is determined,the buyers and sellers may be paired off by NOC crossing platform 102and trades may occur at the NOC price. The NOC price may be reportedduring an after-hours session, which can close at the end of the day,for example at 8:00 PM. The NOC price may be determined to a minimumtick size (e.g., one cent) as follows: if DMM fund agent 108 boughtshares to offset a sell imbalance, the NAV may be adjusted down; if DMMfund agent 108 sold shares to offset a buy imbalance, the NAV may beadjusted up; and if there is no order imbalance, the NAV may be roundedto the nearest cent. If necessary to ensure sufficient incentive forliquidity provision, the NAV adjustment may include a cost of DMM fundagent 108 associated with the creation/redemption and trading activityassociated with providing such liquidity. The trades may then clear andsettle that night at the NOC price.

Systems and methods of the present disclosure include and/or areimplemented by one or more computers including hardware and/or softwarecomponents. For purposes of this disclosure, a computer may be aprogrammable machine capable of performing arithmetic and/or logicaloperations and specially programmed to perform the functions describedherein. In some embodiments, computers may comprise processors,memories, data storage devices, and/or other commonly known or novelcomponents. These components may be connected physically or throughnetwork or wireless links. Computers may also comprise software whichmay direct the operations of the aforementioned components. Computersmay be referred to with terms that are commonly used by those ofordinary skill in the relevant arts, such as servers, personal computers(PCs), mobile devices, and other terms. It will be understood by thoseof ordinary skill that those terms used herein are interchangeable, andany special purpose computer capable of performing the describedfunctions may be used.

Computers may be linked to one another via one or more networks. Anetwork may be any plurality of completely or partially interconnectedcomputers wherein some or all of the computers are able to communicatewith one another. It will be understood by those of ordinary skill thatconnections between computers may be wired in some cases (e.g., viawired TCP connection or other wired connection) or may be wireless(e.g., via a WiFi network connection). Any connection through which atleast two computers may exchange data can be the basis of a network.Furthermore, separate networks may be able to be interconnected suchthat one or more computers within one network may communicate with oneor more computers in another network. In such a case, the plurality ofseparate networks may optionally be considered to be a single network.

FIG. 8 illustrates a functional block diagram of a machine in theexample form of computer system 800 within which a set of instructionsfor causing the machine to perform any one or more of the methodologiesdiscussed herein, may be executed. In some examples, the machine may beconnected (e.g., networked) to other machines as described above. Themachine may operate in the capacity of a server or a client machine in aclient-server network environment, or as a peer machine in apeer-to-peer (or distributed) network environment. The machine may beany machine capable of executing a set of instructions (sequential orotherwise) that specify actions to be taken by that machine forperforming the functions describe herein. Further, while only a singlemachine is illustrated, the term “machine” shall also be taken toinclude any collection of machines that individually or jointly executea set (or multiple sets) of instructions to perform any one or more ofthe methodologies discussed herein. In some examples, crossing platform102 (FIG. 1) may be implemented by the example machine shown in FIG. 8(or a combination of two or more of such machines).

Example computer system 800 may include processing device 802, memory804, data storage device 810 and communication interface 812, which maycommunicate with each other via data and control bus 818. In someexamples, computer system 800 may also include display device 814 and/oruser interface 816.

Processing device 802 may include, without being limited to, amicroprocessor, a central processing unit, an application specificintegrated circuit (ASIC), a field programmable gate array (FPGA), adigital signal processor (DSP) and/or a network processor. Processingdevice 802 may be configured to execute processing logic 804 forperforming the operations described herein. In general, processingdevice 802 may include any suitable special-purpose processing device ora general-purpose processing device specially programmed with processinglogic 804 to perform the operations described herein.

Memory 806 may include, for example, without being limited to, at leastone of a read-only memory (ROM), a random access memory (RAM), a flashmemory, a dynamic RAM (DRAM) and a static RAM (SRAM), storingcomputer-readable instructions 808 executable by processing device 802.In general, memory 806 may include any suitable non-transitory computerreadable storage medium storing computer-readable instructions 808executable by processing device 802 for performing the operationsdescribed herein. Although one memory device 808 is illustrated in FIG.8, in some examples, computer system 800 may include two or more memorydevices (e.g., dynamic memory and static memory).

Computer system 800 may include communication interface device 812, fordirect communication with other computers (including wired and/orwireless communication) and/or for communication with network 114 (FIG.1). In some examples, computer system 800 may include display device 814(e.g., a liquid crystal display (LCD)). In some examples, computersystem 800 may include user interface 816 (e.g., an alphanumeric inputdevice, a cursor control device, a loudspeaker, etc.).

In some examples, computer system 800 may include data storage device810 storing instructions (e.g., software) for performing any one or moreof the functions described herein. Data storage device 810 may includeany suitable non-transitory computer-readable storage medium, including,without being limited to, solid-state memories, optical media andmagnetic media.

The term “computer-readable storage medium” should be taken to include asingle medium or multiple media that store one or more sets ofinstructions. The term “computer-readable storage medium” shall also betaken to include any medium that is capable of storing or encoding a setof instructions for execution by the machine and that causes the machineto perform any one or more of the methodologies of the presentdisclosure.

For purposes of this disclosure the term “product” or “financialproduct” should be broadly construed to comprise any type of financialinstrument including, without limitation, commodities, derivatives,shares, bonds, and currencies. Derivatives, for example, should also bebroadly construed to comprise (without limitation) any type of options,caps, floors, collars, structured debt obligations and deposits, swaps,futures, forwards, and various combinations thereof.

While the present disclosure has been discussed in terms of certainembodiments, it should be appreciated that the present disclosure is notso limited. The embodiments are explained herein by way of example, andthere are numerous modifications, variations and other embodiments thatmay be employed that would still be within the scope of the presentinvention.

The invention claimed is:
 1. A system for minimizing processinginefficiencies associated with correcting electronic order imbalances,the system comprising: an electronic crossing platform comprising one ormore computer devices, a special-purpose processing component, an ordermanagement module and an order imbalance module, the special-purposeprocessing component configured to execute computer-readableinstructions that cause the electronic crossing platform to receiveorders during a first time period by: accepting, by the order managementmodule over a communication network, data comprising any of tradeorders, modifications, and cancelations, and identifying, by the orderimbalance module, an order imbalance amongst the received data; thecomputer-readable instructions further causing the electronic crossingplatform to reduce the order imbalance during a second time period by:accepting, by the order management module over the communicationnetwork, additional data comprising any of offsetting trade orders,offsetting modifications, and offsetting cancelations, applying, by theorder imbalance module, the additional data to the received data to atleast partially offset the order imbalance, and identifying, by theorder imbalance module, a remaining imbalance after the additional datais applied to the received data; the computer-readable instructionsfurther causing the electronic crossing platform to eliminatenon-pairable orders during a third time period by: accepting, by theorder management module over the communication network, further datacomprising any of final trade orders, final modifications, and finalcancelations that collectively fully offset the remaining imbalance, andrejecting, by the order management module, any of the final tradeorders, final modifications, and final cancelations that do notcontribute to the full offset of the remaining balance, such that onlypairable trade orders remain in the electronic portfolio of data; andthe computer-readable instructions further causing the electroniccrossing platform to process only the pairable trade orders of theelectronic portfolio of data.
 2. The system of claim 1, furthercomprising: one or more external market participant computers incommunication with the electronic crossing platform, saidspecial-purpose processing component executing computer-readableinstructions that further cause the electronic crossing platform to:determine, by the order imbalance module, an extent of the orderimbalance amongst the received data; communicate, by the ordermanagement module over the communication network, at least one of anexistence of the order imbalance, the extent of the order imbalance, andthe remaining balance to the one or more external market participantcomputers; and receive, by the order management module over thecommunication network, at least one of the data defining the one or moretrade orders, the additional data and the further data from among theone or more external market participant computers.
 3. The system ofclaim 1, wherein the data defining one or more trade orders correspondsto at least one of an actively managed exchange-traded fund (ETF), anindex- based ETF, a passively managed ETF or a security associated withthe benchmark value.
 4. The system of claim 1, wherein the electroniccrossing platform comprises a price determination module and an orderexecution module, and the one or more external market participantcomputers comprise at least one fund agent computing device, saidspecial-purpose processing component executing computer-readableinstructions that further cause the electronic crossing platform to:receive, by the order management module, a benchmark value from the atleast one fund agent computing device over the communication network;determine, by the price determination module, an adjustment value;convert, by the price determination module, the benchmark value to afinal value by applying the adjustment value to the benchmark value; andexecute, by the order execution module, paired buy and sell orders fromamong the data defining the pairable trade orders remaining in theelectronic portfolio of data at the final value, such that theelectronic portfolio of data tracks the benchmark value.
 5. The systemof claim 4, wherein the adjustment value is determined to: decrease thebenchmark value when the data defining the one or more final tradeorders comprises at least one buy order and the order imbalance is asell imbalance, and increase the benchmark value when the data definingthe one or more final trade orders comprise at least one sell order andthe order imbalance is a buy imbalance.
 6. The system of claim 4,wherein the benchmark value includes a net asset value (NAV).
 7. Thesystem of claim 4, wherein the at least one fund agent computing deviceis configured to generate at least one of the one or more final tradeorders responsive to trading with a secondary market, by at least one ofcreation activity or redemption activity to completely offset theremaining order imbalance.
 8. The system of claim 7, wherein the atleast one of the creation activity or the redemption activity includescreation unit size activity or non-creation unit size activity.
 9. Acomputer-implemented method for minimizing processing inefficienciesassociated with correcting electronic order imbalances, the methodimplemented by an electronic crossing platform comprising one or morecomputer devices, a special-purpose processing component executingcomputer-readable instructions, an order management module and an orderimbalance module, the method comprising: receiving orders during a firsttime period by: accepting, by the order management module over acommunication network, data comprising any of trade orders,modifications, and cancelations, and identifying, by the order imbalancemodule, an order imbalance amongst the received data; reducing the orderimbalance during a second time period by: accepting, by the ordermanagement module over the communication network, additional datacomprising any of offsetting trade orders, offsetting modifications, andoffsetting cancelations, applying, by the order imbalance module, theadditional data to the received data to at least partially offset theimbalance, and identifying, by the order imbalance module, a remainingimbalance after the additional data is applied to the received data;eliminating non-pairable orders from the electronic crossing platformduring a third time period by: accepting, by the order management moduleover the communication network, further data comprising any of finaltrade orders, final modifications, and final cancelations thatcollectively fully offset the remaining imbalance, and rejecting, by theorder management module, any of the final trade orders, finalmodifications, and final cancelations that do not contribute to the fulloffset of the remaining balance, such that only pairable trade ordersremain in the electronic portfolio of data; and processing, by theelectronic crossing platform, only the pairable trade orders of theelectronic portfolio of data.
 10. The computer-implemented method ofclaim 9, further comprising: determining, by the order imbalance module,an extent of the order imbalance amongst the received data;communicating, by the order management module over the communicationnetwork, at least one of an existence of the order imbalance, the extentof the order imbalance, and the remaining balance to one or moreexternal market participant computers that are in communication with theelectronic crossing platform; and receiving, by the order managementmodule over the communication network, at least one of the data definingthe one or more trade orders, the additional data and the further datafrom among the one or more external market participant computers. 11.The computer-implemented method of claim 9, wherein the data definingone or more trade orders corresponds to at least one of an activelymanaged exchange- traded fund (ETF), an index-based ETF, a passivelymanaged ETF or a security associated with the benchmark value.
 12. Thecomputer-implemented method of claim 9, wherein the electronic crossingplatform comprises a price determination module and an order executionmodule, and the one or more external market participant computerscomprise at least one fund agent computing device, the method furthercomprising: receiving, by the order management module, a benchmark valuefrom the at least one fund agent computing device over the communicationnetwork; determining, by the price determination module, an adjustmentvalue; converting, by the price determination module, the benchmarkvalue to a final value by applying the adjustment value to the benchmarkvalue; and executing, by the order execution module, paired buy and sellorders from among the data defining the pairable trade orders remainingin the electronic portfolio of data at the final value, such that theelectronic portfolio of data tracks the benchmark value.
 13. Thecomputer-implemented method of claim 12, wherein the adjustment value isdetermined to: decrease the benchmark value when the data defining theone or more final trade orders comprises at least one buy order and theorder imbalance is a sell imbalance, and increase the benchmark valuewhen the data defining the one or more final trade orders comprise atleast one sell order and the order imbalance is a buy imbalance.
 14. Thecomputer-implemented method of claim 12, wherein the benchmark valueincludes a net asset value (NAV).
 15. The computer-implemented method ofclaim 12, further comprising: generating, by the at least one fund agentcomputing device, at least one of the one or more final trade ordersresponsive to trading with a secondary market, by at least one ofinitiating creation activity or initiating redemption activity tocompletely offset the remaining order imbalance.
 16. Thecomputer-implemented method of claim 15, wherein the at least one of thecreation activity and the redemption activity includes creation unitsize activity or non- creation unit size activity.
 17. A non-transitorycomputer-readable storage medium programmed to include instructionsthat, when executed by one or more special-purpose processing devices,cause the one or more processing devices to perform functions tominimize processing inefficiencies associated with correcting electronicorder imbalances, the functions comprising: receiving orders during afirst time period by: accepting, by the order management module over acommunication network, data comprising any of trade orders,modifications, and cancelations, and identifying, by the order imbalancemodule, an order imbalance amongst the received data; reducing the orderimbalance during a second time period by: accepting, by the ordermanagement module over the communication network, additional datacomprising any of offsetting trade orders, offsetting modifications, andoffsetting cancelations, applying, by the order imbalance module, theadditional data to the received data to at least partially offset theimbalance, and identifying, by the order imbalance module, a remainingimbalance after the additional data is applied to the received data;eliminating non-pairable orders from the electronic crossing platformduring a third time period by: accepting, by the order management moduleover the communication network, further data comprising any of finaltrade orders, final modifications, and final cancelations thatcollectively fully offset the remaining imbalance, and rejecting, by theorder management module, any of the final trade orders, finalmodifications, and final cancelations that do not contribute to the fulloffset of the remaining balance, such that only pairable trade ordersremain in the electronic portfolio of data; and processing only thepairable trade orders of the electronic portfolio of data, wherein theorder management module and the order imbalance module each compriserespective specialized programmed instructions executed by the one ormore special-purpose processing devices.
 18. The non-transitorycomputer-readable storage medium of claim 17, wherein the functionsfurther comprise: determining, by the order imbalance module, an extentof the order imbalance amongst the received data; communicating, by theorder management module over the communication network, at least one ofan existence of the order imbalance, the extent of the order imbalance,and the remaining balance to one or more external market participantcomputers that are in communication with the electronic crossingplatform; and receiving, by the order management module over thecommunication network, at least one of the data defining the one or moretrade orders, the additional data and the further data from among theone or more external market participant computers.
 19. Thenon-transitory computer-readable storage medium of claim 17, wherein thedata defining one or more trade orders corresponds to at least one of anactively managed exchange-traded fund (ETF), an index-based ETF, apassively managed ETF or a security associated with the benchmark value.20. The non-transitory computer-readable storage medium of claim 17,wherein the one or more external market participant computers compriseat least one fund agent computing device, the functions furthercomprising: receiving, by the order management module, a benchmark valuefrom the at least one fund agent computing device over the communicationnetwork; determining, by a price determination module, an adjustmentvalue; converting, by the price determination module, the benchmarkvalue to a final value by applying the adjustment value to the benchmarkvalue; and executing, by an order execution module, paired buy and sellorders from among the data defining the pairable trade orders remainingin the electronic portfolio of data at the final value, such that theelectronic portfolio of data tracks the benchmark value, wherein theprice determination module and the order execution module each compriserespective specialized programmed instructions executed by the one ormore special-purpose processing devices.
 21. The non-transitorycomputer-readable storage medium of claim 20, wherein the adjustmentvalue is determined to: decrease the benchmark value when the datadefining the one or more final trade orders comprises at least one buyorder and the order imbalance is a sell imbalance, and increase thebenchmark value when the data defining the one or more final tradeorders comprise at least one sell order and the order imbalance is a buyimbalance.
 22. The non-transitory computer-readable storage medium ofclaim 20, wherein the benchmark value includes a net asset value (NAV).23. The non-transitory computer-readable storage medium of claim 20,wherein the functions further comprise: generating, by the at least onefund agent computing device, at least one of the one or more final tradeorders responsive to trading with a secondary market, by at least one ofinitiating creation activity or initiating redemption activity tocompletely offset the remaining order imbalance.
 24. The non-transitorycomputer-readable storage medium of claim 23, wherein the at least oneof the creation activity and the redemption activity includes creationunit size activity or non-creation unit size activity.